[R] Regarding fitted value

[Partho Sarkar]

In case further clarification is needed, this from Rob Hyndman, author of
the Forecast package, may be helpful:

"fitted produces one-step in-sample (i.e., training data) "forecasts". That
is, it gives a forecast of observation t using observations up to time t-1
for each t in the data. ... So fitted(fit) gives one-step forecasts of
observations 1, 2, ... It is possible to produce a "forecast" for
observation 1 as a forecast is simply the expected value of that
observation given the model and any preceding history."

From Hyndman's answer in this thread
<a href="
https://stats.stackexchange.com/questions/217955/difference-between-first-one-step-ahead-forecast-and-first-forecast-from-fitted?rq=1
">
https://stats.stackexchange.com/questions/217955/difference-between-first-one-step-ahead-forecast-and-first-forecast-from-fitted?rq=1
</a>

See also <a href="
https://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/">
https://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/</a>
<https://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/>

[A quick search on the stackexchange forum will turn up several similar
questions & answers]

HTH,

*Best regards,*
*Partho Sarkar*

On Tue, Feb 2, 2021 at 12:28 PM Rui Barradas <ruipbarradas using sapo.pt> wrote:

> Hello,
>
> You get the fitted values for years 2000, ..., 2019.
> Those values are the original series minus the residuals:
>
> f <- fitted(model1)
> g <- yy - resid(model1)
> identical(f, g)          # returns TRUE
>
>
> If you want to *forecast*, this will give you the default h = 10
> forecasts.
>
> fc <- forecast(model1)
> plot(fc)
>
>
> Hope this helps,
>
> Rui Barradas
>
> Às 23:31 de 01/02/21, Md. Moyazzem Hossain escreveu:
> > Dear Rui Barradas
> >
> > Thank you very much for your reply.
> >
> > However, still now, I have a confusion whether I get the fitted value
> > for the year 2000, 2001, ..., 2020 or 2001, 2002, ..., 2021.
> >
> > Need any more help.
> >
> > Thanks in advance.
> >
> > Md
> >
> > On Thu, Jan 28, 2021 at 4:47 PM Rui Barradas <ruipbarradas using sapo.pt
> > <mailto:ruipbarradas using sapo.pt>> wrote:
> >
> >     Hello,
> >
> >       From help('forecast::fitted.Arima'):
> >
> >     h       The number of steps to forecast ahead.
> >
> >
> >     So you have the default h = 1 step ahead forecast for your model.
> >
> >
> >     Hope this helps,
> >
> >     Rui Barradas
> >
> >     Às 12:13 de 28/01/21, Md. Moyazzem Hossain escreveu:
> >      >   Dear R-experts,
> >      >
> >      > I hope that all of you are doing well. I got the filled value
> >     from the
> >      > ARIMA model.
> >      >
> >      > I use the following working code. But I am not clear whether I
> >     got the
> >      > fitted value for each *corresponding time* of the original data
> >     point like
> >      > 2000, 2001, 2020 or get a *one-step-ahead* fitted value. Please
> >     suggest me
> >      > any reference for further reading to my understanding.
> >      >
> >      > ########################
> >      >
> >
>  y<-c(120,340,250,430,125,324,763,458,763,905,765,456,234,345,654,654,567,876,907,456)
> >      > library(forecast)
> >      > library(tseries)
> >      > yy=ts(y, start=c(2000,1))
> >      >
> >      > model1=Arima(yy,order=c(0,2,1), lambda = NULL,method='ML')
> >      > model1
> >      >
> >      > f <- fitted( model1)
> >      > plot(yy)
> >      > plot(f)
> >      >
> >      > Thanks in advance.
> >      >
> >
> >
> >
> > --
> > Best Regards,
> > Md. Moyazzem Hossain
> > Associate Professor
> > Department of Statistics
> > Jahangirnagar University
> > Savar, Dhaka-1342
> > Bangladesh
> > Website: http://www.juniv.edu/teachers/hossainmm
> > Research: *Google Scholar
> > <https://scholar.google.com/citations?user=-U03XCgAAAAJ&hl=en&oi=ao>*;
> > *ResearchGate <https://www.researchgate.net/profile/Md_Hossain107>*;
> > *ORCID iD <https://orcid.org/0000-0003-3593-6936>*
>
> ______________________________________________
> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

	[[alternative HTML version deleted]]